CLO Research

Last week saw active BB tranche trading, with approximately 68 CLO BB bonds totalling around $220 million in notional listed on BWIC, of which 79% traded.

Among the 19 EU CLO deals priced since then, top-tier (tightest 10%) pricing for AAA, AA, A, BBB, BB, and B tranches was 131.4, 190, 219, 300, 550, and 850 bps, respectively.

As of 23 July 2025, the latest arbitrage metric stood at 236 bps—up from the recent low of 227 bps on 25 June—driven by a lower CLO WACC and wider loan spreads since then.

According to PitchBook LCD, PGIM announced yesterday that it is assessing the optional redemption of Dryden 29 Euro CLO 2013. The deal was originally issued in December 2013, completed a partial refinancing in January 2017, and underwent a reset in January 2018. Its reinvestment period ended in July 2022, approximately three years ago. Since then, the AAA tranche — which carried a spread of 75 bps over EURIBOR — has been fully paid down. As of 30 June 2025, the AA tranche had a remaining factor of 91%.

When the loan market is strong and stable, CLO issuance tends to benefit significantly, as tighter AAA spreads gain momentum...

EU CLO equity has outperformed US CLO equity, based on BWIC colour from a sample of approximately 446 equity tranches traded since July 2024 (source: SCI). This trend is also consistent with findings from 2.0 CLO deals that have been fully liquidated to date, according to CLO Research.

Overall, CCC/Caa exposures between US BSL and EU CLOs are broadly comparable across multiple vintages.

Among the 15 EU CLO deals priced since 25 June 2025, top-tier (tightest 10%) pricing for AAA, AA, A, BBB, BB, and B tranches was 131.4, 190, 222, 310, 560, and 850 bps, respectively. CIFC European Funding VII and Fidelity Grand Harbour CLO 2025-1 priced their AAA tranches at 131 bps — among the tightest levels recorded.

Given strong loan prices, it is an opportune time to fully liquidate seasoned deals that are due for a call.

A sample of 1,709 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.

A sample of 554 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.

Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 14, 2025)

Last week saw active BWIC trading in both long- and short-dated BB tranches. This article summarises key observations across different cohorts.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of July 11, 2025.

A sample of 1,716 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.